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題名：匯率與總體基本面之非線性動態關係--G-7國家的實證研究
書刊名：經濟與管理論叢
作者：李建強 引用關係／張倉耀／李起銓／林欣怡
作者(外文)：Lee, Chien-chiang／Chang, Tsangyao／Lee, Chi-chuan／Lin, Hsin-yi
出版日期：2010
卷期：6:2
頁次：頁203-228
主題關鍵詞：總體基本面；匯率；非線性；Granger因果關係；G-7國家；Exchange rate；Macroeconomic fundamentals；Non-linear；Granger causality；G-7 countries
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本文探討G-7國家的名目匯率 (相對於美元) 與總體基本面 (fundamentals) 兩變數之間的非線性動態關係，總體基本面變數的組合包括貨幣及產出。實證結果顯示，在Johansen (1988) 檢定下，所有國家的名目匯率和總體基本面之間皆不存在長期線性共整合關係，相反地，Bierens (1997) 無母數共整合檢定法卻支持名目匯率和總體基本面之間存在長期非線性的證據。另外，在非線性Granger因果關係檢定下，我們除了得到G-7國家名目匯率對總體基本面有單向的非線性Granger因果關係外，更發現名目匯率與總體基本面之間存在雙向因果關係，以及總體基本面對名目匯率存有單向的非線性Granger因果關係。
This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997), as well as the non-linear Granger causality provided by Hiemstra and Jones (1994) and Diks and Panchenko (2006). The results for the Johansen (1988) test show that there is no evidence of a long-run cointegraion relationship between the two variables. Conversely, Bierens (1997) provides clear support of a non-linear cointegration relationship. We also find that uni-directional causality exists, except for Canada, Germany, and the United Kingdom according to the Hiemstra and Jones (1994) test. However, the Diks and Panchenko (2006) test finds bi-directional causality in Canada, Germany, and United Kingdom, uni-directional causality running from the exchange rate to fundamentals in Italy, and uni-directional causality running from fundamentals to the exchange rate in Japan.
期刊論文
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